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Stochastic analysis, filtering, and ...

Yin, George.

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Stochastic analysis, filtering, and stochastic optimization = a commemorative volume to honor Mark H.A. Davis's contributions /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Stochastic analysis, filtering, and stochastic optimization/ edited by George Yin, Thaleia Zariphopoulou.
其他題名:	a commemorative volume to honor Mark H.A. Davis's contributions /
其他作者:	Yin, George.
出版者:	Cham :Springer International Publishing : : 2022.,
面頁冊數:	xxvii, 466 p. :ill., digital ;24 cm.
內容註:	Control in Hilbert Space and First-Order Mean Field Type Problem (A. Bensoussan) -- Risk-Sensitive Markov Decision Problems under Model Uncertainty: Finite Time Horizon Case (R. Bielecki) -- Optimal Control of Piecewise Deterministic Markov Processes (F. Dufour) -- Pathwise Approximations for the Solution of the Non-Linear Filtering Problem (D. Crisan) -- Discrete-Time Portfolio Optimization under Maximum Drawdown Constraint with Partial Information and Deep Learning Resolution (H. Pham) -- Estimating the Matthew Effects: Switching Pareto Dynamics (J. Elliott) -- Optimal Couplings on Wiener Space and An Extension of Talagrand's Transport Inequality (F¨ollmer) -- Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation (Yu Zhou) -- N-Player and Mean-Field Games in Ito-Diffusion Markets with Competitive or Homophilous Interaction (T. Zariphopoulou) -- A Variational Characterization of Langevin-Smoluchowski Diffusions (H. Xing) -- Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality (B. Tschiderer) -- Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability I (J. Swanson) -- Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability II (J. Swanson) -- Maximally Distributed Random Fields under Sublinear Expectation (S. Peng) -- Pairs Trading under Geometric Brownian Motion Models (Q. Zhang) -- Equilibrium Model of Limit Order Books: A Mean-Field Game View (J. Ma) -- Bounded Regret for Finitely Parameterized Multi-Armed Bandits (P. Varaiya) -- Developing the Path Signature Methodology and Its Application to Landmark-Based Human Action Recognition (T. Lyons)
Contained By:	Springer Nature eBook
標題:	Stochastic analysis. -
電子資源:	https://doi.org/10.1007/978-3-030-98519-6
ISBN:	9783030985196

Stochastic analysis, filtering, and stochastic optimization = a commemorative volume to honor Mark H.A. Davis's contributions /
Stochastic analysis, filtering, and stochastic optimizationa commemorative volume to honor Mark H.A. Davis's contributions /[electronic resource] :edited by George Yin, Thaleia Zariphopoulou. - Cham :Springer International Publishing :2022. - xxvii, 466 p. :ill., digital ;24 cm.

Control in Hilbert Space and First-Order Mean Field Type Problem (A. Bensoussan) -- Risk-Sensitive Markov Decision Problems under Model Uncertainty: Finite Time Horizon Case (R. Bielecki) -- Optimal Control of Piecewise Deterministic Markov Processes (F. Dufour) -- Pathwise Approximations for the Solution of the Non-Linear Filtering Problem (D. Crisan) -- Discrete-Time Portfolio Optimization under Maximum Drawdown Constraint with Partial Information and Deep Learning Resolution (H. Pham) -- Estimating the Matthew Effects: Switching Pareto Dynamics (J. Elliott) -- Optimal Couplings on Wiener Space and An Extension of Talagrand's Transport Inequality (F¨ollmer) -- Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation (Yu Zhou) -- N-Player and Mean-Field Games in Ito-Diffusion Markets with Competitive or Homophilous Interaction (T. Zariphopoulou) -- A Variational Characterization of Langevin-Smoluchowski Diffusions (H. Xing) -- Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality (B. Tschiderer) -- Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability I (J. Swanson) -- Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability II (J. Swanson) -- Maximally Distributed Random Fields under Sublinear Expectation (S. Peng) -- Pairs Trading under Geometric Brownian Motion Models (Q. Zhang) -- Equilibrium Model of Limit Order Books: A Mean-Field Game View (J. Ma) -- Bounded Regret for Finitely Parameterized Multi-Armed Bandits (P. Varaiya) -- Developing the Path Signature Methodology and Its Application to Landmark-Based Human Action Recognition (T. Lyons)

This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.

ISBN: 9783030985196

Standard No.: 10.1007/978-3-030-98519-6doiSubjects--Topical Terms:

533923
Stochastic analysis.

LC Class. No.: QA274.2 / .S76 2022

Dewey Class. No.: 519.22

Stochastic analysis, filtering, and stochastic optimization = a commemorative volume to honor Mark H.A. Davis's contributions /
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505 0 $a Control in Hilbert Space and First-Order Mean Field Type Problem (A. Bensoussan) -- Risk-Sensitive Markov Decision Problems under Model Uncertainty: Finite Time Horizon Case (R. Bielecki) -- Optimal Control of Piecewise Deterministic Markov Processes (F. Dufour) -- Pathwise Approximations for the Solution of the Non-Linear Filtering Problem (D. Crisan) -- Discrete-Time Portfolio Optimization under Maximum Drawdown Constraint with Partial Information and Deep Learning Resolution (H. Pham) -- Estimating the Matthew Effects: Switching Pareto Dynamics (J. Elliott) -- Optimal Couplings on Wiener Space and An Extension of Talagrand's Transport Inequality (F¨ollmer) -- Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation (Yu Zhou) -- N-Player and Mean-Field Games in Ito-Diffusion Markets with Competitive or Homophilous Interaction (T. Zariphopoulou) -- A Variational Characterization of Langevin-Smoluchowski Diffusions (H. Xing) -- Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality (B. Tschiderer) -- Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability I (J. Swanson) -- Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability II (J. Swanson) -- Maximally Distributed Random Fields under Sublinear Expectation (S. Peng) -- Pairs Trading under Geometric Brownian Motion Models (Q. Zhang) -- Equilibrium Model of Limit Order Books: A Mean-Field Game View (J. Ma) -- Bounded Regret for Finitely Parameterized Multi-Armed Bandits (P. Varaiya) -- Developing the Path Signature Methodology and Its Application to Landmark-Based Human Action Recognition (T. Lyons)
520 $a This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.
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